My Nana used to say...

"I always listen to advice
'Tis churlish to refuse it
It makes the giver think I'm nice
And I don't have to use it!"

I know it's hard - but I often get advice I disagree with or just don't need. But I just say "thanks, I could try that" or "mmmmm". I guess if it's really bugging you, you could tell them that you are doing ok - but thanks for their concern?